Our previous work suggests that pharmacological induction of oxidative stress causes anxiety-like behavior in rats. Interestingly, sleep deprivation is reported to cause oxidative damage in the brain and is also reported to be anxiogenic. Minimal mechanistic insights are available. In this study, using a behavioral and biochemical approach, we investigated involvement of oxidative stress mechanisms in sleep deprivation-induced anxiety-like behavior of rats and the protective role of treadmill exercise in this process. We report that acute sleep deprivation (SD) increases oxidative stress in the cortex, hippocampus and amygdala while prior treadmill exercise prevents this increase. Serum corticosterones also increase with SD but its levels are normalized in exercised sleep-deprived rats. Also, anxiety-like behavior of rats significantly increases with SD while prior treadmill exercise prevents this increase. Protein expression of two enzymes involved in antioxidant defense, glyoxalase (GLO)-1 and glutathione reductase (GSR)-1 increased after 24h SD in the hippocampus, cortex and amygdala while their levels were normalized in exercised sleep-deprived rats. It is plausible that oxidative stress via regulation of GLO1 and GSR1 is involved in sleep deprivation-induced anxiety-like behavior of rats.